Model/Anlys/Valid Sr Analyst

Citibank, N.A. seeks a Model/Analysis/Validation Senior Analyst for its Tampa, Florida location.

Duties: Develop and improve techniques and processes of simulating credit exposure and pricing. Enhance credit exposure simulation and pricing models covering all major asset types, with a focus on simulation of margin requirements, collateral for derivatives and security financing transactions. Examine deficiencies in current models and develop appropriate mathematical and statistical frameworks to address the deficiencies. Develop model testing methodologies and conduct rigorous testing including back-testing and stress testing. Implement the prototype of mathematical framework that can be used in new testing approaches. Analyze testing methodologies and provide model reviewers with a comprehensive explanation of the test results for validation. Evaluate model performance. Collect data from multiple sources using internal libraries, databases, and web applications. Identify data quality issues and clean data. Develop a quantitative library for models used in counterparty credit risk. Develop object-oriented codebase for calibration, simulation, pricing, margin, and testing. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent, in Mathematics, Statistics, or other related quantitative fields and 2 years of experience as a Model/Analysis/Validation Senior Analyst - AVP, Quantitative Analyst, or related position involving credit exposure simulation and pricing models development. Alternatively, employer will accept a Bachelor’s degree in the stated fields and 5 years of progressive, post-baccalaureate experience. Full span of experience must include: Utilizing Python and Excel to implement algorithmic models and analyze both their complexity and impact on stakeholders; Technical writing for model documentation and validation; Translating business and regulatory requirements into mathematical formulations; Advanced mathematics including stochastic calculus and linear algebra, data science including statistics and large data analysis, and numerical techniques including numerical algorithms; Client agreements, Credit Support Annexes (CSA) and experience working with International Swaps and Derivatives Association (ISDA) agreements; Analyzing business functionalities and modeling them into mathematical frameworks; and Computation of exposure used in regulatory capital calculation and internal risk monitoring. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #26932424. EO Employer.

Wage Range:                $112,800 to $130,920

Job Family Group:         Risk Management

Job Family:                   Model Development and Analytics

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Job Family Group:

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Job Family:

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Time Type:

Full time

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Primary Location:

Tampa Florida United States

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Primary Location Full Time Salary Range:

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Apr 01, 2